for the record I used to be able to see a bit of the desktop on windows after waking from sleep before the lock screen came on. can't remember if that's still true, though.
Ah yes, I remember that happening on windows xp a lot when it was waking up or between screensaver and login timeout (when they overlap), you'd even get the transition-to-welcome-screen sound so you know it only just triggered the locking just then. I suspect if you are fast you can run something before it actually locks.